adjskew:将两边尾部5%的值用中位数替代
| skew_1 | adjskew_1 | distance_1 | mom6x3_1 | mom9x3_1 | mom12x3_1 | mom1M_1 | mom2M_1 | mom3M_1 | mom6M_1 | turnover3M_1 | amount3M_1 | stddev_diff_1 | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| raw | ic.mean | -0.0221 | -0.0253 | 0.0019 | 0.0014 | 0.0075 | 0.0094 | -0.0411 | -0.0500 | -0.0444 | -0.0328 | -0.0485 | -0.0418 | -0.0083 |
| ic.t-stats | -4.6047 | -5.5252 | 0.1708 | 0.1712 | 0.8137 | 0.9869 | -4.4534 | -4.6708 | -4.2507 | -3.0464 | -4.4609 | -4.6764 | -1.5336 | |
| ind_neu | ic.mean | -0.0220 | -0.0253 | 0.0089 | -0.0008 | 0.0019 | 0.0015 | -0.0488 | -0.0542 | -0.0494 | -0.0380 | -0.0501 | -0.0418 | -0.0094 |
| ic.t-stats | -5.2507 | -6.3402 | 0.8837 | -0.1261 | 0.2657 | 0.2069 | -6.2575 | -5.9902 | -5.4942 | -4.2067 | -5.5391 | -5.4202 | -2.0941 |
收益曲线和表格指标，均是针对超额收益，benchmark用的是equal weighted